1. Curve Construction

16 market nodes from O/N to 30Y, each quoted as Offer (rate the bank pays if Pay Fixed) and Bid (rate the bank receives if Receive Fixed). Mid = average(Offer, Bid) is used to build the discount curve by default. Editing Mid directly overrides that node with a manual rate (Offer/Bid grey out for that row).

2. Discount Factors (simple money-market convention)

For any date with year-fraction t from the Start Date:

where r is the Mid rate linearly interpolated between the two nearest curve nodes (flat-extrapolated beyond O/N or 30Y). t uses the selected Daycount convention — Act/360 by default, matching standard USD SOFR OIS market convention.

This is a simplified single-curve, simple-interest bootstrap — not a full multi-curve OIS/SOFR compounding bootstrap. Adequate for indicative desk pricing, not a substitute for a validated trade-booking system.

3. Cashflow Schedule

Payment dates step forward from Start Date by the chosen frequency until the next step would pass Maturity Date.

4. Floating Leg — Forward Rate

Each period's floating rate is the forward rate implied by the curve — from the ratio of discount factors at the period's start and end, not a flat assumption:

5. Fixed Leg — Par Rate

The Par Fixed Rate is solved so the swap's NPV = 0 at inception, using the standard par-swap annuity formula:

6. Profit Margin & Quoted Rate

A margin (bps) loads on top of the Par Rate, always favoring the bank: Bank Pay Fixed → Quoted = Par − Margin; Bank Receive Fixed → Quoted = Par + Margin. At 0 margin with no override, the trade reprices exactly to fair value (NPV = 0).

7. Sensitivity (DV01)

Each curve node is bumped ±1bp independently, the swap is repriced with the Fixed Rate locked at its quoted value (not re-solved to par), and:

This is a bucketed / key-rate sensitivity — one node at a time, not a parallel curve shift. It only shows non-zero risk once the rate is fixed away from Par, since a trade priced exactly at Par always reprices back to fair value by construction.